Author(s) | Period | Variables | Quantitative methods | Empirical outcomes |
---|---|---|---|---|
Allen (2022) | August 7, 2015–July 23, 2021 | Bitcoin, Ethereum, S&P500 Index | Regression analysis, generalised measure of correlation, non-parametric copula | Bitcoin and Ethereum do not offer a powerful tool for portfolio diversification |
Ali et al. (2022) | August 1, 2011–September 1, 2019 | Bitcoin, Dow Jones World Emerging, Dow Jones World Islamic, FTSE4GOOD Global, gold, silver, MSCI World Energy, US Economic Policy Uncertainty | Multivariate Generalized Autoregressive Conditional Heteroscedastic-Dynamic Conditional Correlation (MGARCH-DCC), Continuous Wavelet Transforms (CWT) | Bitcoin ensures equivalent hedging potential to commodities like gold and silver with respect to the policy uncertainty |
Al-Shboul et al. (2022) | September 8, 2015–February 21, 2021 | Bitcoin, Litecoin, Ethereum, Tether, Ripple | Quantile VAR mode | While Bitcoin lost its role as a leading hedger during the downturn, Litecoin served as a central hedger and/or a value saver both during and before the pandemic |
Balcilar et al. (2022) | October 2, 2017–May 20, 2022 | Bitcoin, Cardano, Bitcoin Cash, Ethereum, Litecoin, USD Tether, Ripple, 27 emerging equity markets | Standard vector autoregressive (VAR) model, frequency decompositions of connectedness measures, quantile connectedness approach, lasso VAR | For emerging stock markets, major cryptocurrencies cannot be used as a diversifier |
Bashir and Kumar (2022) | January 23, 2020–31 July 31, 2021 | 20 major cryptocurrencies based on market capitalisation | Simple linear regression, quantile regression (QR), the exponential generalised autoregressive conditional heteroskedasticity (EGARCH) model, sentiment analysis | Because cryptocurrencies do not behave autonomously during bear markets brought on by the COVID-19, they cannot serve as a safe haven |
Będowska-Sójka and Kliber (2021) | August the 10, 2015–April 24, 2020 | Bitcoin, Ether, S&P 500, DAX, FTSE250, STOXX Europe 600 Index, gold | Multivariate stochastic volatility model with dynamic conditional correlation | Neither Bitcoin nor Ether should be regarded as safe-haven assets |
Cai et al. (2022) | January 2012–June 2021 | Bitcoin price, economic policy uncertainty | Wavelet analysis | Although the Bitcoin market can be regarded as a prominent gauge, it cannot be treated as a safe-haven asset hedge against the economic policy uncertainty |
Chemkha et al. (2021) | April 29, 2013–January 5, 2021 | Bitcoin, gold, indices, exchange rates | Asymmetric dynamic conditional correlation (A-DCC) model | Bitcoin cannot ensure protection throughout the COVID-19 outbreak due to its considerable variation |
Diniz-Maganini and Rasheed (2022) | July–December 2020 | Bitcoin, MSCI | Detrended partial-cross-correlation analysis (DPCCA) | For the MSCI index, Bitcoin was never a safe haven |
Dutta et al. (2020) | December 2014–March 2020 | Bitcoin, WTI, Brent, Gold | DCC-GARCH | During the COVID-19 pandemic, Bitcoin only serves as a diversifier |
Grira et al. (2022) | January 1, 2019–December 31, 2020 | Bitcoin, S&P 500 index | Granger causality test, least squares (OLS) with the Newey-west estimator | During the COVID-19 crisis, Bitcoin can be viewed as a weak safe haven asset |
Grobys (2021) | March 19, 2015–March 18, 2020 | Bitcoin, S&P 500 index, gold | Difference-in-differences estimation | Bitcoin is not a reasonable tool for mitigating tail risk in US stocks |
Hasan et al. (2022) | December 30, 2013–February 21, 2021 | Bitcoin, gold, US Dollar index, Dow Jones World Islamic Market index, Dow Jones World Sukuk index, Crude Oil West Texas Intermediate, cryptocurrency policy uncertainty | Ordinary least squares (OLS), quantile regression (QR), quantile-on-quantile (QQ) regression | Bitcoin, US dollar, and WTI do not possess any safe-haven characteristics |
Kumar and Padakandla (2022) | January 5, 2015–December 31, 2020 | Bitcoin, Gold, DJIA, CAC40, NSE50, S&P 500, NASDAQ, EUROSTOXX | Wavelet Quantile Correlation | Bitcoin have shown long-term diversifier features but no safe haven characteristics for a highly market capitalized index like the S&P500 |
Maitra et al. (2022) | August 1, 2019,–May 29, 2020 | Bitcoin, Ethereum, eight stock market indices | Copula-based VaR and CoVaR models | Cryptocurrencies are unable to generate additional earnings by reducing stock market risk in the face of the COVID-19 pandemic |
Omane-Adjepong and Alagidede (2021) | January 5, 2015–August 11, 2020 | Bitcoin, precious metals, Africa’s emerging equity markets | Two-stage DCC-GARCH | Bitcoin is not a superior safe haven alternative, only a complementary one |
Rao et al. (2022) | August 2011–July 2021 | Bitcoin, S&P Green Bond Index, S&P GSCI Crude Oil, S&P GSCI Gold Index, MSCI Emerging Markets Index, MSCI World Index | Time-varying parametric vector autoregression, quantile regression | Instead of acting as a hedge, cryptocurrencies behave as a safe haven for certain international indices at particular times |
Ren et al. (2022) | January 23, 2020–August 19, 2020 | Bitcoin, gold, WTI crude oil futures price, Brent crude oil futures | The varying-coefficient quantile regression | Oil-related portfolios have been found to benefit from Bitcoin’s role as a safe haven |
Singh et al. (2022) | July 2016–June 2021 | Bitcoin returns, economic policy uncertainty, geopolitical risk | Wavelet coherence analysis | In P5 + 1 countries, Bitcoin can be used as hedge against policy uncertainties and geopolitical risk |
Syuhada et al. (2022) | September 29, 2018–March 31, 2021 | Bitcoin, gold, energy commodities | Vine copula | The safe-haven feature of Bitcoin was regarded as unreasonable |
Ustaoglu (2022) | August 7, 2011–November 16, 2021 | Bitcoin, Ethereum, 27 main emerging market indices | Asymmetric dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity model (ADCC-GARCH) | Bitcoin and Ethereum have safe-haven attributes relative to the most of emerging stock market indices during the pandemic timeframe |
Vukovic et al. (2021) | January 22, 2020–April 11, 2020 | Bitcoin, Ethereum, XRP, Tether, Bitcoin Cash, gold, crude oil, VIX, S&P 500 index | OLS (ordinary least squares), quantile, robust regressions | During COVID-19 crisis, the cryptocurrency market cannot serve as a haven or a hedge |
Wen et al. (2022) | January 3, 2019–June 4, 2021 | Bitcoin, COMEX gold futures price, the WTI oil price, the S&P 500 index | Time varying parameter vector auto-regression (TVP-VAR) | Bitcoin cannot be considered a safe haven |
Yang et al. (2022) | January 15, 2015–December 31, 2015, and December 31, 2019–August 21, 2020 | Bitcoin, gold, crude oil, commodities | Connectedness analysis, Wavelet-based DCC-GARCH model | In the long run, Bitcoin is relatively appropriate for hedging to lower portfolio volatility. It also performed well as a safe haven during the Swiss franc black swan event and phase I of COVID-19 |